default search action
Andrew E. B. Lim
Person information
- affiliation: University of California, Department of Industrial Engineering and Operations Research, Berkeley, CA, USA
- affiliation: National University of Singapore, Business School, Singapore
- affiliation (PhD): Australian National University, Canberra, ACT, Australia
Refine list
refinements active!
zoomed in on ?? of ?? records
view refined list in
export refined list as
2020 – today
- 2021
- [j24]Jun-ya Gotoh
, Michael Jong Kim
Calibration of Distributionally Robust Empirical Optimization Models. Oper. Res. 69(5): 1630-1650 (2021) - [i3]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
A data-driven approach to beating SAA out-of-sample. CoRR abs/2105.12342 (2021) - 2020
- [j23]Shea D. Chen
A Generalized Black-Litterman Model. Oper. Res. 68(2): 381-410 (2020) - [i2]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
Worst-case sensitivity. CoRR abs/2010.10794 (2020)
2010 – 2019
- 2018
- [j22]Gah-Yi Ban
Machine Learning and Portfolio Optimization. Manag. Sci. 64(3): 1136-1154 (2018) - [j21]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
Robust empirical optimization is almost the same as mean-variance optimization. Oper. Res. Lett. 46(4): 448-452 (2018) - 2017
- [i1]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
Calibration of Distributionally Robust Empirical Optimization Models. CoRR abs/1711.06565 (2017) - 2016
- [j20]Michael Jong Kim, Andrew E. B. Lim:
Robust Multiarmed Bandit Problems. Manag. Sci. 62(1): 264-285 (2016) - 2014
- [j19]Andrew E. B. Lim, Poomyos Wimonkittiwat:
Dynamic portfolio selection with market impact costs. Oper. Res. Lett. 42(5): 299-306 (2014) - 2012
- [j18]Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn
Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case. Manag. Sci. 58(9): 1732-1746 (2012) - [j17]Martin Haugh, Andrew E. B. Lim:
Linear-quadratic control and information relaxations. Oper. Res. Lett. 40(6): 521-528 (2012) - [j16]Peng Li, Andrew E. B. Lim, J. George Shanthikumar:
Decentralized Control of a Stochastic Multi-Agent Queueing System. IEEE Trans. Autom. Control. 57(11): 2762-2777 (2012) - [c12]Shea D. Chen, Andrew E. B. Lim:
Dynamic portfolio choice with Bayesian regret. CDC 2012: 160-165 - 2011
- [j15]Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn
Conditional value-at-risk in portfolio optimization: Coherent but fragile. Oper. Res. Lett. 39(3): 163-171 (2011) - [c11]Huaning Cai, Andrew E. B. Lim:
Decentralized control of a multi-agent stochastic dynamic resource allocation problem. CDC/ECC 2011: 6400-6406 - [c10]Andrew E. B. Lim, Poomyos Wimonkittiwat:
Dynamic portfolio choice with market impact costs. CDC/ECC 2011: 6413-6420 - 2010
- [j14]A. Jain, Andrew E. B. Lim, J. George Shanthikumar:
On the optimality of threshold control in queues with model uncertainty. Queueing Syst. Theory Appl. 65(2): 157-174 (2010) - [c9]Andrew E. B. Lim, J. George Shanthikumar, Thaisiri Watewai:
Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem. CDC 2010: 4305-4310 - [c8]Peng Li, Andrew E. B. Lim, J. George Shanthikumar:
Decentralized control of a stochastic dynamic resource allocation problem. CDC 2010: 4553-4558
2000 – 2009
- 2007
- [j13]Andrew E. B. Lim, J. George Shanthikumar:
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing. Oper. Res. 55(2): 198-214 (2007) - 2006
- [j12]Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim, Huiju Zhang:
Pricing American-Style Derivatives with European Call Options. Manag. Sci. 52(1): 95-110 (2006) - 2005
- [j11]Andrew E. B. Lim:
Mean-Variance Hedging When There Are Jumps. SIAM J. Control. Optim. 44(5): 1893-1922 (2005) - [j10]Andrew E. B. Lim, Xun Yu Zhou:
A new risk-sensitive maximum principle. IEEE Trans. Autom. Control. 50(7): 958-966 (2005) - [c7]Ron Alterovitz, Andrew E. B. Lim, Kenneth Y. Goldberg
Steering flexible needles under Markov motion uncertainty. IROS 2005: 1570-1575 - 2004
- [j9]Andrew E. B. Lim:
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market. Math. Oper. Res. 29(1): 132-161 (2004) - 2003
- [j8]Andrew E. B. Lim, Xun Yu Zhou, John B. Moore:
Multiple-objective risk-sensitive control and its small noise limit. Autom. 39(3): 533-541 (2003) - [c6]Andrew E. B. Lim, Xun Yu Zhou:
A maximum principle for risk-sensitive control. CDC 2003: 5819-5824 - 2002
- [j7]Andrew E. B. Lim, Xun Yu Zhou:
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market. Math. Oper. Res. 27(1): 101-120 (2002) - [j6]Xun Li
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. SIAM J. Control. Optim. 40(5): 1540-1555 (2002) - 2001
- [j5]H. W. Joseph Lee
Sensor scheduling in continuous time. Autom. 37(12): 2017-2023 (2001) - [j4]Andrew E. B. Lim, Xun Yu Zhou:
Linear-Quadratic Control of Backward Stochastic Differential Equations. SIAM J. Control. Optim. 40(2): 450-474 (2001) - [j3]Andrew E. B. Lim, Xun Yu Zhou:
Risk-sensitive control with HARA utility. IEEE Trans. Autom. Control. 46(4): 563-578 (2001) - [c5]Andrew E. B. Lim, Xun Yu Zhou:
Mean-variance portfolio selection via LQ optimal control. CDC 2001: 4553-4558 - [c4]Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim:
A new approach to pricing American-style derivatives. WSC 2001: 329-337 - 2000
- [c3]Andrew E. B. Lim, Xun Yu Zhou:
Optimal control with HARA utility functions. CDC 2000: 228-233 - [c2]Andrew E. B. Lim, Xun Yu Zhou:
Optimal control of backward stochastic differential equations: The linear-quadratic case. CDC 2000: 2890-2895
1990 – 1999
- 1999
- [j2]Andrew E. B. Lim, Xun Yu Zhou:
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights. IEEE Trans. Autom. Control. 44(7): 1359-1369 (1999) - 1998
- [c1]John B. Moore, Xun Yu Zhou, Andrew E. B. Lim:
On LQG Control of Linear Stochastic Systems with Control Dependent Noise. Control of Distributed Parameter and Stochastic Systems 1998: 247-254 - 1996
- [j1]Andrew E. B. Lim, Wei-Yong Yan, Kok Lay Teo:
Solutions to the combined sensitivity and complementary sensitivity problem in control systems. IEEE Trans. Autom. Control. 41(12): 1836-1840 (1996)
Coauthor Index
manage site settings
To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.
Unpaywalled article links
Add open access links from to the list of external document links (if available).
Privacy notice: By enabling the option above, your browser will contact the API of unpaywall.org to load hyperlinks to open access articles. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the Unpaywall privacy policy.
Archived links via Wayback Machine
For web page which are no longer available, try to retrieve content from the of the Internet Archive (if available).
Privacy notice: By enabling the option above, your browser will contact the API of archive.org to check for archived content of web pages that are no longer available. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the Internet Archive privacy policy.
Reference lists
Add a list of references from ,
, and
to record detail pages.
load references from crossref.org and opencitations.net
Privacy notice: By enabling the option above, your browser will contact the APIs of crossref.org, opencitations.net, and semanticscholar.org to load article reference information. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the Crossref privacy policy and the OpenCitations privacy policy, as well as the AI2 Privacy Policy covering Semantic Scholar.
Citation data
Add a list of citing articles from and
to record detail pages.
load citations from opencitations.net
Privacy notice: By enabling the option above, your browser will contact the API of opencitations.net and semanticscholar.org to load citation information. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the OpenCitations privacy policy as well as the AI2 Privacy Policy covering Semantic Scholar.
OpenAlex data
Load additional information about publications from .
Privacy notice: By enabling the option above, your browser will contact the API of openalex.org to load additional information. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the information given by OpenAlex.
last updated on 2024-04-25 05:51 CEST by the dblp team
all metadata released as open data under CC0 1.0 license
see also: Terms of Use | Privacy Policy | Imprint
dblp was originally created in 1993 at:
since 2018, dblp has been operated and maintained by:
the dblp computer science bibliography is funded and supported by: